Journal article
Trading Behavior and the Unbiasedness of the Market Reaction to Dividend Announcements
The Journal of finance (New York), Vol.50(1), pp.255-279
03/1995
DOI: 10.1111/j.1540-6261.1995.tb05173.x
Abstract
This article examines the price formation process during dividend announcement day, using daily closing prices and transactions data. We find that the unconditional positive excess returns, first documented by Kalay and Loewenstein (1985), are higher for small-firm and low-priced stocks. Price volatility and trading volume also increase during this period. Examination of trade prices relative to the bid-ask spread and volume of trades at bid and asked prices shows that the excess returns cannot be attributed to measurement errors or to spillover effects of tax-related ex-day trading. Rather, the price behavior is related to the absorption of dividend information.
Details
- Title: Subtitle
- Trading Behavior and the Unbiasedness of the Market Reaction to Dividend Announcements
- Creators
- Mukesh BajajAnand M. Vijh
- Resource Type
- Journal article
- Publication Details
- The Journal of finance (New York), Vol.50(1), pp.255-279
- Publisher
- American Finance Association
- DOI
- 10.1111/j.1540-6261.1995.tb05173.x
- ISSN
- 0022-1082
- eISSN
- 1540-6261
- Language
- English
- Date published
- 03/1995
- Academic Unit
- Finance
- Record Identifier
- 9984380503102771
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